Related papers: Finding optimal solutions by stochastic cellular a…

The expectation maximization (EM) algorithm is a widespread method for empirical Bayesian inference, but its expectation step (E-step) is often intractable. Employing a stochastic approximation scheme with Markov chain Monte Carlo (MCMC)…

The probability distribution describing the state of a Stochastic Reaction Network evolves according to the Chemical Master Equation (CME). It is common to estimated its solution using Monte Carlo methods such as the Stochastic Simulation…

Binary optimization has a wide range of applications in combinatorial optimization problems such as MaxCut, MIMO detection, and MaxSAT. However, these problems are typically NP-hard due to the binary constraints. We develop a novel…

The Gibbs sampler (a.k.a. Glauber dynamics and heat-bath algorithm) is a popular Markov Chain Monte Carlo algorithm which iteratively samples from the conditional distributions of a probability measure $\pi$ of interest. Under the…

Performing reliable Bayesian inference on a big data scale is becoming a keystone in the modern era of machine learning. A workhorse class of methods to achieve this task are Markov chain Monte Carlo (MCMC) algorithms and their design to…

Inference for high-dimensional hidden Markov models is challenging due to the exponential-in-dimension computational cost of calculating the likelihood. To address this issue, we introduce an innovative composite likelihood approach called…

Parameter estimation for discretely observed Markov processes is a challenging problem. However, simulation of Markov processes is straightforward using the Gillespie algorithm. We exploit this ease of simulation to develop an effective…

Stochastic gradient Markov Chain Monte Carlo (SGMCMC) is considered the gold standard for Bayesian inference in large-scale models, such as Bayesian neural networks. Since practitioners face speed versus accuracy tradeoffs in these models,…

Nonlinear non-Gaussian state-space models arise in numerous applications in statistics and signal processing. In this context, one of the most successful and popular approximation techniques is the Sequential Monte Carlo (SMC) algorithm,…

We introduce a new class of probabilistic cellular automata that are capable of exhibiting rich dynamics such as synchronization and ergodicity and can be easily inferred from data. The system is a finite-state locally interacting Markov…

The two dominant approaches for the analysis of species-habitat associations in animals have been shown to reach divergent conclusions. Models fitted from the viewpoint of an individual (step selection functions), once scaled up, do not…

Markov chain Monte Carlo algorithms are used to simulate from complex statistical distributions by way of a local exploration of these distributions. This local feature avoids heavy requests on understanding the nature of the target, but it…

Markov chain Monte Carlo (MCMC) methods are sampling methods that have become a commonly used tool in statistics, for example to perform Monte Carlo integration. As a consequence of the increase in computational power, many variations of…

We study a diagnostic strategy which is based on the anticipation of the diagnostic process by simulation of the dynamical process starting from the initial findings. We show that such a strategy could result in more accurate diagnoses…

We study a neural network model of interacting stochastic discrete two--state cellular automata on a regular lattice. The system is externally tuned to a critical point which varies with the degree of stochasticity (or the effective…

The genetic cluster-exact approximation algorithm is an efficient method to calculate ground states of EA spin glasses. The method can be used to study ground-state landscapes by calculating many independent ground states for each…

We consider the problem of estimating the measure of subsets in very large networks. A prime tool for this purpose is the Markov Chain Monte Carlo (MCMC) algorithm. This algorithm, while extremely useful in many cases, still often suffers…

Markov chain Monte Carlo (MCMC) algorithms are generally regarded as the gold standard technique for Bayesian inference. They are theoretically well-understood and conceptually simple to apply in practice. The drawback of MCMC is that in…

Applications of stochastic models often involve the evaluation of steady-state performance, which requires solving a set of balance equations. In most cases of interest, the number of equations is infinite or even uncountable. As a result,…

We investigate Monte Carlo based algorithms for solving stochastic control problems with probabilistic constraints. Our motivation comes from microgrid management, where the controller tries to optimally dispatch a diesel generator while…